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>Only a personal comment: you said that you compare system over the
>same data, I must think that is the same of running the systems
>against a single stock. Maybe is my system, but I've got just
>disapointed when my beautiful system gave me only good results for
>few stocks and large bad results for the most stocks
The problem you describe is related, I believe, to overfitting a system to a
specific data set. I believe I have largely overcome this problem.
I have been developing systems to trade the DOW 30 and other very large
stocks. I have been trading these stocks partly because they trade a very
large volume daily. I bought 5 years worth of intraday day for the DOW
stocks and modified the hourly data to make it appear as daily data to
Metastock End of Day. This change converted 5 years of hourly data to
roughly 40 years of daily data. I use Metastock 8 which allows system
testing against multiple stocks and I calibrate (optimize) my systems
against the equivelent of 40 years of data for 30 stocks. When I check my
optimized systems against authentic daily data, the system performance is
statistically similar in terms of the relative size of winners and loosers
and the size of winners compared to loosers. My systems also tend to be
profitable most stocks in the DOW 30 when tested against real daily data.
Using intraday data to simulate daily data for smaller stocks would probably
not be as effective. The key to my strategy is the very large trading
volume found with DOW 30 stocks.
Dan
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